Hidden Markov Models: Applications to Financial Economics

List of Figures. List of Tables. Dedication. Acknowledgements. 1: Introduction. 1. Introduction. 2. Markov Chains. 3. Passage Time. 4. Markov Chains and the Term Structure of Interest Rates. 5. State Space Methods and Kalman Filter. 6. Hidden Markov Models and Hidden Markov Experts. 7. HMM Estimation Algorithm. 8. HMM Parameter Estimation. 9. HMM Most Probable State Sequence: Viterbi Algorithm. 10. HMM Illustrative examples. 2: Volatility in Growth Rate of Real GDP. 1. Introduction. 2. Models. 3. Data. 4. Empirical Results. 5. Conclusion. 3: Linkages among G7 Stock Markets. 1. Introduction. 2. Empirical Technique. 3. Data. 4. Empirical Results. 5. Conclusion. 4: Interplay between Industrial Production and Stock Market. 1. Introduction. 2. Markov Switching Heteroscedasticity Model of Output and Equity. 3. Data. 4. Empirical Results. 5. Conclusion. 5: Linking Inflation and Inflation Uncertainty. 1. Introduction. 2. Empirical Technique. 3. Data. 4. Empirical Results. 5. Conclusion. 6: Exploring Permanent and Transitory Components of Stock Return. 1. Introduction. 2. Markov Switching Heteroscedasticity Model of Stock Return. 3. Data. 4. Empirical Results. 5. Conclusion. 7: Exploring the Relationship between Coincident Financial Market Indicators. 1. Introduction. 2. Markov Switching Coincidence Index Model. 3. Data. 4. Empirical Results. 5. Conclusion. References. Index.